Provider: Ingenta Connect
Database: Ingenta Connect
Content: application/x-research-info-systems
TY - ABST
AU - Osterholm, Par
TI - A structural Bayesian VAR for model-based fan charts
JO - Applied Economics
PY - 2008-06-01T00:00:00///
VL - 40
IS - 12
SP - 1557
EP - 1569
N2 - Inflation forecast uncertainty is of importance for a wide range of agents in the economy, central banks in particular. Ways to describe and account for this uncertainty in a consistent manner have received increasing attention of late, in part due to the growing number of inflation-targeting central banks. This article develops a large structural VAR for the Swedish economy and estimates it in a Bayesian framework. The methodology permits not only structural interpretation and analysis but offers a natural way to formalize forecast uncertainty, as the posterior predictive density from the model has the interpretation of a fan chart.
UR - http://www.ingentaconnect.com/content/routledg/raef/2008/00000040/00000012/art00007
M3 - doi:10.1080/00036840600843947
UR - https://doi.org/10.1080/00036840600843947
ER -